Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive claim amounts. The problem under study for these risk models is the evaluation of the probabilities of (non-)ruin over any horizon of finite length. The main recent methods, exact or approximate, used to compute the ruin probabilities are reviewed and discussed in a unified way. Special attention is then paid to an analysis of the qualitative impact of dependence between claim amounts.
|Date of creation:||2009|
|Publication status:||Published in Methodology and Computing in Applied Probability, Springer Verlag, 2009, 11 (3), pp.425-441. <10.1007/s11009-009-9123-9>|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00201377|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rulliere, Didier & Loisel, Stephane, 2004.
"Another look at the Picard-Lefevre formula for finite-time ruin probabilities,"
Insurance: Mathematics and Economics,
Elsevier, vol. 35(2), pages 187-203, October.
- Didier Rullière & Stéphane Loisel, 2004. "Another look at the Picard-Lefèvre formula for finite-time ruin probabilities," Post-Print hal-00379412, HAL.
- Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
- Dickson, D.C.M., 1999. "On Numerical Evaluation of Finite Time Survival Probabilities," British Actuarial Journal, Cambridge University Press, vol. 5(03), pages 575-584, August.
- Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S., 2001. "An improved finite-time ruin probability formula and its Mathematica implementation," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 375-386, December.
- De Vylder, F. & Goovaerts, M. J., 1988. "Recursive calculation of finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 1-7, January.
- Dickson, David C. M. & Waters, Howard R., 1991. "Recursive Calculation of Survival Probabilities," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 21(02), pages 199-221, November.
- Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
- Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 93-114, February. Full references (including those not matched with items on IDEAS)